Chapter18BondFundamentals(投资分析与投资组合管理).ppt

,LecturePresentationSoftwaretoaccompanyInvestmentAnalysisandPortfolioManagementSeventhEditionbyFrankK.Reilly&KeithC.Brown,Chapter18,Chapter18BondFundamentals,Questionstobeanswered:Whataresomeofthebasicfeaturesofbondsthataffecttheirrisk,return,andvalue?Whatisthecurrentcountrystructureoftheworldbondmarketandhowhasthemakeupoftheglobalbondmarketchangedinrecentyears?,Chapter18BondFundamentals,Whatarethemajorcomponentsoftheworldbondmarketandtheinternationalbondmarket?Whatarebondratingsandwhatistheirpurpose?Whatisthedifferencebetweeninvestment-gradebondsandhigh-yield(junk)bonds?,Chapter18BondFundamentals,Whatarethecharacteristicsofbondsinthemajorbondcategoriessuchasgovernments(includingTIPS),agencies,municipalities,andcorporates?HowdoesthemakeupofthebondmarketinmajorcountriessuchastheUnitedStates,Japan,theUnitedKingdom,andGermanydiffer?,Chapter18BondFundamentals,WhataretheimportantcharacteristicsofcorporatebondissuesdevelopedintheUnitedStatesduringthepastdecadesuchasmortgage-backedsecurities,otherasset-backedsecurities,zero-couponanddeepdiscountbonds,high-yieldbonds,andstructurednotes?,Chapter18BondFundamentals,Withineachofthemajorbondcategories,whatarethedifferencesbetweenmajorcountriessuchastheUnitedStates,Japan,theUnitedKingdom,andGermanyHowdoyoureadthequotesavailableforthealternativebondcategories(e.g.,governments,municipalities,corporates)?,BasicFeaturesofaBond,PayafixedamountofinterestperiodicallytotheholderofrecordRepayafixedamountofprincipalatthedateofmaturity,BasicFeaturesofaBond,BondmarketisdividedbymaturityMoneyMarket-short-termissuesthatmaturewithinoneyearNotes-intermediate-termissuesthatmaturebetweenoneandtenyearsBonds-long-termobligationswithmaturitygreaterthantenyearsRemaininglife(maturity)affectpricevolatility,BondCharacteristics,IntrinsicfeaturesCoupon-yield(interestincome)Maturity-termorserial(municipalities)Principalvalue-differentfrommarketvalueTypeofownership-bearerorregisteredTypesofIssuesSecured(senior)bondsUnsecuredbonds(debentures)Subordinated(junior)debentures,BondCharacteristics,IndentureprovisionsFeaturesaffectingabondsmaturityCallable(callpremium)NoncallableDeferredcallNonrefundingprovisionSinkingfund,RatesofReturnonBonds,where:HPRi,t=theholdingperiodforbondiduringtheperiodtPi,t+1=themarketpriceofbondiattheendofperiodtPi,t=themarketpriceofbondiatthebeginningofperiodtInti,t=theinterestpaymentsonbondiduringperiodtTheholdingperiodyield(HPY)is:HPY=HPR-1,TheGlobalBond-MarketStructure,Participatingissuers1.Federalgovernments2.Agenciesofthefederalgovernment3.Stateandlocalpoliticalsubdivisions(municipalities)4.Corporations5.InternationalissuesForeignbondsEurobonds,ParticipatingInvestors,IndividualinvestorsInstitutionalinvestorsLifeInsuranceCompaniesCommercialBanksPropertyandLiabilityInsuranceCompaniesPensionFundsMutualFunds,BondRatings,RatingsServices1.DuffandPhelps2.FitchInvestorsService3.Moodys4.Standard&PoorsNon-ratedbonds,AlternativeBondIssues,DomesticgovernmentbondsUnitedStates-T-bills,notes,bonds.TIPSJapan-mediumterm,longterm,superlongtermGermany-bundbonds,contractwithKassenverienliquidmarketprovidedbyBundesbankUnitedKingdom-shortgilts,mediumgilts,longgilts,GovernmentAgencyIssues,UnitedStatesNotdirectissues,butbackedby“fullfaithandcredit”oftheU.S.governmentGNMApass-throughcertificatesJapanGovernmentassociateorganizationsGermanyFederalRailwayandFederalPostOffice,MunicipalBonds,Generalobligation(GO)bondsRevenuebondsInterestpaymentsareexemptfromfederalincometaxConvertthetax-freeyieldofamunicipalbondsellingclosetopartoanequivalenttaxableyield(ETY),EquivalentTaxableYield,Where:i=couponrateofthemunicipalobligationsT=marginaltaxrateoftheinvestor,MunicipalBondGuarantees,BondinsuredagainstdefaultriskInsuranceisirrevocableforthelifeoftheissueFourprivatebondinsurancecarriersMunicipalBondInvestorsAssurance(MBIA)AmericanMunicipalBondAssuranceCorporation(AMBAC)FinancialSecurityAssuranceFinancialGuarantyInsuranceCompany(FGIC),MunicipalBondGuarantees,InsuredbondsobtainAAA(Aaa)ratingsIssueswithprivateguaranteeshavemoreactivesecondarymarket,andlowerrequiredyield,CorporateBonds,MortgagebondsCollateraltrustbondsEquipmenttrustcertificatesCollateralizedmortgageobligations(CMOs)Otherasset-backedsecurities(ABS)Variableratenotes,CorporateBonds,Zero-couponanddeep-discountbondsMinicouponbondsOriginal-issuediscount(OID)bondsTaxesdueontheimpliedinterestHigh-yieldbonds(speculativebondsandjunkbonds)NoninvestmentgradewithratingbelowBBBorBaa,JapaneseCorporateBondMarket,BondsissuedbyindustrialfirmsorutilitiesMinimumissuingrequirementsarespecifiedbytheMinistryofFinanceBondsissuedbybankstofinanceloanstocorporationCommercialbanksLong-termcreditbanksMutualloanandsavingsbanksSpecializedfinancialinstitutions,GermanCorporateBondMarket,BankbondsGermanmortgagebondsGermancommercialbondsPrivateLoanAgreements(Schuldscheindarlehen),U.K.CorporateBondMarkets,DebenturesUnsecuredloansConvertiblebonds,InternationalBonds,ForeignbondsaresoldinonecountryandcurrencybyaborrowerofadifferentnationalityYankeebondsareU.S.dollardenominatedbondssoldintheU.S.butissuedbyaforeignfirmEurobondsareunderwrittenbyinternationalbondsyndicatesandsoldinseveralnationalmarkets,InternationalBonds,UnitedStatesYankeebondsregisterwithSECEurodollarbondmarketaffectedbychangesinvalueofU.S.dollar,InternationalBonds,JapanSamuribonds-yendenominatedissuedbynon-JapanesefirmsinJapanEuroyenbonds-yendenominated,soldoutsideJapan,InternationalBonds,GermanyDM-denominatedbondsissuedbyforeigncompaniesareEurobonds,InternationalBonds,UnitedKingdomBulldogbondsaresterling-denominatedbondsissuedbynon-EnglishfirmsandsoldinLondonEurosterlingbondsaresoldinmarketsoutsideLondonbyinternationalsyndicates,ObtainingInformationonBonds,LessemphasisonfundamentalanalysisMostbondinvestorsrelyonratingagenciesforcreditanalysisMarketandeconomicconditionsIntrinsicbondfeaturesPopularpublicationsavailable:WallStreetJournal,Barrons,BusinessWeek,Fortune,Forbes,FederalReserveBulletin,SurveyofCurrentBusiness,BondPublications,TreasuryBulletinStandard&PoorsBondGuideMoodysBondRecordMoodysBondSurveyFitchRatingRegisterFitchCorporateCreditAnalysisFitchMunicipalCreditAnalysisInvestmentDealersDigestCreditMarketsDuff&PhelpsCreditDecisionsTheBondPlayer,SourcesofBondQuotes,BankandQuotationRecordTheBlueListofCurrentMunicipalOfferingsWallStreetJournalBarrons,InterpretingBondQuotes,QuotedonbasisofyieldorpricePricequotesarepercentageofpar981/2isnot$98.50but98.5%ofparAmunicipal$5,000bondquotedat981/2wouldbe$4,925,CorporateBondQuotes,CurNetBondsYldVolCloseChgATT81/8227.7521053/8+1/4,CorporateBondQuotes,CurNetBondsYldVolCloseChgATT81/8227.7521053/8+1/4,IssuedbyAT&T,CorporateBondQuotes,CurNetBondsYldVolCloseChgATT81/8227.7521053/8+1/4,IssuedbyAT&T,8.125%couponrate,CorporateBondQuotes,CurNetBondsYldVolCloseChgATT81/8227.7521053/8+1/4,IssuedbyAT&T,8.125%couponrate,maturesin2022,CorporateBondQuotes,CurNetBondsYldVolCloseChgATT81/8227.7521053/8+1/4,IssuedbyAT&T,8.125%couponrate,maturesin2022,Currentyield=coupon/marketprice=7.7%,CorporateBondQuotes,CurNetBondsYldVolCloseChgATT81/8227.7521053/8+1/4,IssuedbyAT&T,8.125%couponrate,maturesin2022,Currentyield=coupon/marketprice=7.7%,52ofthesebondstradedthatday,CorporateBondQuotes,CurNetBondsYldVolCloseChgATT81/8227.7521053/8+1/4,IssuedbyAT&T,8.125%couponrate,maturesin2022,Currentyield=coupon/marketprice=7.7%,52ofthesebondstradedthatday,Theclosingpricewas1053/8%ofpar,CorporateBondQuotes,CurNetBondsYldVolCloseChgATT81/8227.7521053/8+1/4,IssuedbyAT&T,8.125%couponrate,maturesin2022,Currentyield=coupon/marketprice=7.7%,52ofthesebondstradedthatday,Theclosingpricewas1053/8%ofparwhichwasup1/4fromthepriorday,CorporateBondQuotes,Notations“cv”=convertible“zr”=zerocoupon“dc”=deepdiscount(attimeofissue)Accruedinterestmustbeaddedtopricequoted,TreasuryandAgencyBondQuotes,Notations“n”=treasurynote“p”=treasurynoteonwhichnonresidentaliensareexemptfromwithholdingtaxesoninterestQuotesresembleOTCsecuritieswithbidandaskprices,TreasuryandAgencyBondQuotes,GOVT.BONDS&NOTESMaturityAskRateMo/YrBidAskedChg.Yld.55/8Dec99n100:08100:10.5.04,TreasuryandAgencyBondQuotes,GOVT.BONDS&NOTESMaturityAskRateMo/YrBidAskedChg.Yld.55/8Dec99n100:08100:10.5.04Pricesarein32ndsusuallywithaverysmallspreadbetweenbidandask,TreasuryandAgencyBondQuotes,U.S.TreasuryStrips“ci”isthecouponinterestportionstrippedfromthenote“np”istheprincipal